Backward stochastic differential equations and its application to stochastic control
1.
SYSNO ASEP
0349569
Document Type
C - Proceedings Paper (int. conf.)
R&D Document Type
Conference Paper
Title
Backward stochastic differential equations and its application to stochastic control
Author(s)
Veverka, Petr (UTIA-B)
Source Title
Stochastic and Physical Monitoring Systems 2010 - Proceedings. - Praha : Nakladatelství ČVUT - výroba, 2010 / Hobza Tomáš
- ISBN 978-80-01-04641-8
Pages
s. 181-189
Number of pages
9 s.
Publication form
www - www
Action
Stochastic and Physical Monitoring Systems 2010
Event date
27.06.2010-03.07.2010
VEvent location
Děčín
Country
CZ - Czech Republic
Event type
WRD
Language
eng - English
Country
CZ - Czech Republic
Keywords
BSDE ; Stochastic control
Subject RIV
BA - General Mathematics
R&D Projects
GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
GAP402/10/1610 GA ČR - Czech Science Foundation (CSF)
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Annotation
In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), provide fundamental theorems of existence and uniqueness of the solution for some essential cases and we show by example its important connections to financial mathematics. Finally, we focus on vast applications of BSDE to stochastic control via Pontryagin's maximum principle.
